Measures of systemic risk and financial fragility in Korea

Lee, Jong Han, Ryu, Jaemin and Tsomocos, Dimitrios (2013) Measures of systemic risk and financial fragility in Korea. Annals of Finance, 9 (4). pp. 757-786.

Abstract

This paper provides a quantitative metric for financial stability of Korean commercial banking system based on the Tsomocos (J Math Econ 39(5–6):619–655, 2003) model, for which we use market data as proxies for probabilities of default and equity valuation of the banking sector. We estimate the effect of the probability of default and the equity valuation of the banking sector on real output using a vector error correction model (VECM). In addition, we estimate the contributions of individual banks to systemic risk using CoVaR and MES (Marginal Expected Shortfall). CoVaR is estimated based on the methodology of Adrian and Brunnermeier (2010), and MES is estimated based on Shapley value methodology which has been introduced by Tarashev et al. (2010)

Item Type: Article
Keywords: Financial stability, Systemic risk, JPoD, CoVaR , MES, Shapley value, finance
Subject(s): Finance
Date Deposited: 10 Mar 2014 12:37
Last Modified: 27 Feb 2017 14:17
Funders: Not applicable
URI: http://eureka.sbs.ox.ac.uk/id/eprint/4990

Actions (login required)

Edit View Edit View